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研究生:蘇亭丰
研究生(外文):Ting-Feng Su
論文名稱:槓桿型與反向型ETF長短期追蹤績效之研究
論文名稱(外文):An Investigation of Short- and Long-term Tracking Performance of Leveraged and Inverse ETFs
指導教授:李存修李存修引用關係
指導教授(外文):Tsun-Siou Lee
口試委員:張森林林修葳
口試日期:2015-05-27
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2015
畢業學年度:103
語文別:中文
論文頁數:31
中文關鍵詞:槓桿型ETF反向型ETF追蹤績效重新平衡機制
外文關鍵詞:leveraged ETFinverse ETFtracking performancerebalancing mechanism
相關次數:
  • 被引用被引用:14
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  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本文研究分為兩部分。第一部分以台灣上市的4檔槓桿型反向型ETF為研究對象,檢驗其長短期追蹤績效。在1%顯著水準下,四檔基金單日追蹤績效都顯著異於基金投資目標,長天期報酬均顯著偏離標的指數目標倍數報酬。四檔槓桿型反向型ETF的持有期間累積報酬在1%顯著水準下均沒有顯著不對稱性。
第二部分以滿足所需曝險量跟淨值限制自行配置的投資組合進行不同調整週期的動態調整機制模擬,雖然所有組合單日報酬均顯著異於指數單日目標倍數報酬,但以剩餘現金最少之整數解配置的組合追蹤兩倍槓桿報酬績效最好,且比目前台灣的兩檔兩倍槓桿型ETF單日追蹤績效都來得佳。
期貨的基差風險及規格僵固,基金經理人對手續費之議價能力,剩餘現金占投資組合比重大小,對標的指數的路徑相依性,以及投資工具的標的指數與槓桿型反向型ETF所追蹤的標的指數是否一致,皆會影響追蹤績效。


This paper is composed of two parts. The first part of the paper examines long-term and short-term tracking performances of four leveraged and inverse ETFs listed on the stock exchange in Taiwan. At 1% level of significance, daily tracking performance of the leveraged and inverse ETFs significantly deviate from the investment objectives of the funds. The cumulative returns of the leveraged and inverse ETFs over holding period are also significantly different from positive or negative multiple of cumulative returns of underlying index over corresponding period. There are no significant asymmetry in positive and negative returns.
The second part simulates the dynamic rebalancing mechanism of leveraged and inverse ETFs using different length of adjustment period on portfolios subject to needed exposure and net asset value constraints. Although daily returns of all of the portfolios dynamically rebalanced on any length of period basis are significantly different from multiple of index daily return, the portfolio allocated by the integer solution with minimized cash amount tracking two times underlying index daily return performs better than the leveraged ETFs of Taiwan.
The basis risk and standardization of futures, the bargaining power of fund managers, the percentage of cash amount that takes up, path dependence on underlying index and whether underlying index of investment vehicle is consistent with that of leveraged and inverse ETFs can affect tracking performances of leveraged and inverse ETFs.


第一章 緒論..................................1
 第一節 研究背景.............................1
 第二節 研究動機與目的.......................3
 第三節 研究架構與流程.......................4
第二章 文獻探討...............................5
 第一節 長短期報酬相關研究....................5
 第二節 每日重新平衡機制相關研究..............6
 第三節 重新平衡頻率影響追蹤誤差相關研究......7
第三章 研究方法與實證模型.....................8
 第一節 檢驗槓桿型反向型ETF長短期追蹤績效.....8
 第二節 模擬不同動態調整週期之單日追蹤績效.....9
第四章 資料來源.............................10
 第一節 資料期間及樣本......................10
 第二節 資料來源............................10
第五章 研究結果與分析........................12
 第一節 槓桿型反向型ETF長短期追蹤績效評估.....12
 第二節 不同動態調整週期之單日追蹤績效模擬結果.21
 第三節 影響追蹤績效的可能因素...............27
第六章 結論.................................30

參考文獻.....................................31


Avellaneda, M., & Zhang, S. (2010), "Path-dependence of leveraged ETF returns," SIAM Journal on Financial Mathematics, 1(1), 586-603.
Cheng, M., & Madhavan, A. (2009), "The dynamics of leveraged and inverse exchange-traded funds," Journal Of Investment Management (JOIM), Fourth Quarter.
Jarrow, R. A. (2010), "Understanding the risk of leveraged ETFs," Finance Research Letters, 7(3), 135-139.
Little, P. K. (2010), "Inversed and leveraged ETFs: Not your father’s ETF," Journal of Index Investing, 1(1), 83-89.
Lu, L., Wang, J., & Zhang, G. (2009), "Long term performance of leveraged ETFs," Available at SSRN 1344133.
Trainor Jr, W. J., & Carroll, M. G. (2013), "Forecasting Holding Periods for Leveraged ETFs Using Decay Thresholds: Theory and Applications," Journal of Financial Studies & Research, 2013, 1-12.
William, J. (2010), "Do leveraged ETFs increase volatility," Technology and Investment, 2010.


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